Looking at the diagram on manuals.lib, the glow plug indicator is in parallel to the plugs themselves. So while the indicator illumination means the fuse and ignition switch are working, it does not mean sufficient power is making it to the glow plugs.
The fact that it "starts fine" in 20°F* temperatures argues they are working, at least partially. But then, if it "starts fine", why are we having this discussion?
The 3 glow plugs themselves are in series. Using a voltmeter, check the voltage at each glow plug, starting with the first one in the series (the one getting power from the ignition switch). I don't know the exact resistances of your glow plugs, but the voltage there should be within a couple of volts of full battery voltage -- say on the order of 10 volts to ground or better. No voltage there means a broken wire between ignition switch and plugs. Low voltage means poor connection.
The voltage should drop by thirds at each subsequent plug. Measure between the first and the second plug (ie: move the meter -wire to the second plug). Now meter between the second and third plug (+ wire on second plug, - wire on third), and finally between the third plug and ground. You should see roughly your original voltage/3 in each of these steps. A significantly higher voltage means power is not going through that plug, most likely a poor connection between the plugs or an out-of-spec plug.
NOTE: significantly higher voltage to any one plug will burn out that plug prematurely. Which of course will raise the voltage to the remaining plugs and eventual failure of all.
*You don't specify °F or °C, but given you are in Texas °F is probably a safe assumption.
